Model pinball machine light
Final result:



I have slightly different method then @user3800527 it's quite similar but I've started making this answer before so I'll just post it. 

Before proceeding further enable F2 add-on in User Preferences. 

Steps:


Create Mesh > Circle with 64 vertices (or as much as you want) and Fill Type > Triangle fan.
Select outer Edge of this Circle then Select > Checker deselect.
Hit S and Scale them a little.





Most annoying step. Select each "inner" vertex, hover mouse to outer edge then press F to make new face.





Select one of the outer vertices then press Shift+G (Select similar) > Amount of adjacent faces.





Press G>Z and move those vertices down a bit.
Select 3 vertices from outer edge again Select Similar then E>Z and move them down.





With still selected bottom edge press S>Z>0 to make vertices even on Z axis.
Extrude them again and scale E>S and after that press Shift+Alt+S>1 to make this edge a Circle.





Before closing this shape, go back to the top of it, select one of the longest edge, again use Select Similar, but this time choose Length and move them down a little G>Z.





Now we are ready to close this shape. Select bottom outer edge, extrude it up to cover our inner part, then extrude it again and close circle with Alt+M > At center.





Now select top edge and Bevel it using Ctrl+B, you can use mouse wheel to choose number of Edge Loops.





It's almost the end. Select all and press Ctrl+N to Recalculate Normals.
Select only outer faces, choose Shading > Faces > Smooth and turn on Auto Smooth in Data tab.




Edit:

Lightning.

For lightning I have used HDRI studio environment, as for example this one:

HDRI studio - this one is free to use. I've used one that I've created by myself.

Material.

For material I've used Principled BSDF from Blender 2.79 RC2 with this settings:




Roughness for making it a little bit "milky". Play with this value to get desired result.
Clearcoat to add extra shiny layer.
Transmission to make it glass-like.



  Note that results may vary based on Camera angle, HDRI image and it's
  strength, object thickness and such.